LARGE SCALE REDUCTION PRINCIPLE AND APPLICATION TO HYPOTHESIS TESTING

@article{Clausel2014LARGESR,
  title={LARGE SCALE REDUCTION PRINCIPLE AND APPLICATION TO HYPOTHESIS TESTING},
  author={Marianne Clausel and Franccois Roueff and Murad S. Taqqu},
  journal={Electronic Journal of Statistics},
  year={2014},
  volume={9},
  pages={153-203}
}
  • Marianne Clausel, Franccois Roueff, Murad S. Taqqu
  • Published 2014
  • Mathematics
  • Electronic Journal of Statistics
  • Consider a non-linear function $G(X_t)$ where $X_t$ is a stationary Gaussian sequence with long-range dependence. The usual reduction principle states that the partial sums of $G(X_t)$ behave asymptotically like the partial sums of the first term in the expansion of $G$ in Hermite polynomials. In the context of the wavelet estimation of the long-range dependence parameter, one replaces the partial sums of $G(X_t)$ by the wavelet scalogram, namely the partial sum of squares of the wavelet… CONTINUE READING

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